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Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity
Market for ‘orphan’ hedges leaves some borrowers stranded
Companies with private credit loans face punitive costs from banks for often imperfect hedges
Op risk data: Tech glitch gives customers unlimited funds
Also: Payback for slow Paycheck Protection payouts; SEC hits out at AI washing. Data by ORX News
Risk data
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
Green knights? Banks step into struggling carbon credit markets
Clearer global standards and a new exchange may attract dealer entry, but supply and demand challenges remain
Top 10 operational risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Volatility
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
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US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Morgan Stanley back on top for US insurer FX forwards trades
Counterparty Radar: Bank added $1.7bn with Mass Mutual in Q4 to overtake Citi as biggest dealer
Information security
Top 10 op risks: AI fears drive cyber risk to record high
External fraud re-enters top 10; change management now a top five concern
Too soon to say good riddance to banks’ public enemy number one
As LockBit plans its comeback, experts say banks need a clear ransomware negotiating playbook
Beating the drum on cyber risk: the battle for boardroom attention
Delays patching financial sector vulnerabilities highlight the need for more internal clout for cyber chiefs
Iosco gears up for ‘intensive work’ on AI regulation
Watchdogs risk ‘falling behind the curve’, secretary-general warns; FSB also working on guidance
How banks are adapting to all-powerful pod funds
Growth of multi-manager funds such as Citadel, Millennium and Balyasny has forced dealers to switch tactics in attempt to preserve profits
Clearing
Hidden Road ready for rush hour after FCM approval
Prime broker is trading “trillions” of notional with “a few hundred” counterparties in FX and crypto
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Industry pushes to extend review for Emir active accounts rule
Fears that compressed timeframe leaves less than a year to test if controversial policy is working
Vanguard begins clearing NDFs on LCH
Addition of mutual fund giant gives big boost to client-cleared activity on ForexClear
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